Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0001
Annualized Std Dev 0.1543
Annualized Sharpe (Rf=0%) 0.0005

Row

Daily Return Statistics

Close
Observations 4683.0000
NAs 1.0000
Minimum -0.1678
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.0831
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0097
Skewness -1.8536
Kurtosis 33.9854

Downside Risk

Close
Semi Deviation 0.0073
Gain Deviation 0.0067
Loss Deviation 0.0085
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0073
Downside Deviation (0%) 0.0073
Maximum Drawdown 0.5032
Historical VaR (95%) -0.0128
Historical ES (95%) -0.0230
Modified VaR (95%) -0.0138
Modified ES (95%) -0.0138
From Trough To Depth Length To Trough Recovery
2007-04-11 2008-12-16 2011-12-21 -0.5032 1186 426 760
2016-08-01 2020-03-18 NA -0.4060 1168 914 NA
2012-07-11 2013-09-13 2016-07-01 -0.2974 1001 296 705
2002-08-23 2004-05-13 2007-04-02 -0.2168 1151 430 721
2012-03-05 2012-03-27 2012-06-25 -0.0962 79 17 62

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA 0.3 0.7 1.4 1.9 -0.4 -0.1 3.8
2003 -0.5 0.2 -0.1 0.3 -0.5 0.6 -0.4 0.5 1.3 0.3 -0.7 0.4 1.5
2004 0.3 -0.1 1.1 -1.2 0.8 -0.2 0.4 0 1.7 2.1 0.2 -0.8 4.3
2005 0.6 -0.8 1.2 0.2 0.6 0 0 0.6 -0.4 0.8 0.2 -0.5 2.5
2006 0 -0.8 0.4 -0.5 1.2 0.6 0.2 0.1 -0.2 1.2 1.2 -0.3 3.2
2007 0.5 -0.1 0.1 0.8 -0.4 0.3 1.3 0 0.3 -0.3 0.6 1.7 4.8
2008 0.7 -4.1 1 -0.2 -1.3 -0.6 -0.5 1.5 1.7 2.5 1.1 -1.2 0.5
2009 0.6 0.1 2 1.1 -0.2 1.4 1.7 0.5 -0.3 0.4 0.5 -0.3 7.9
2010 0.8 0.3 -0.3 0.2 0.7 -0.7 0.2 -0.7 -0.6 0.5 -0.3 0.6 0.7
2011 0.2 0.6 1.5 0.1 0.5 0.8 0.6 0.9 0.3 0 1.3 0.7 7.8
2012 0.7 -0.3 0.2 -0.1 0 0.1 -0.4 0.8 -0.1 0.7 -1 -0.1 0.7
2013 0.7 0.9 0.7 0.3 -0.8 -0.5 0.9 0 0.5 -0.9 1.2 -0.5 2.5
2014 0 -0.2 -0.1 0 -0.5 -0.1 -0.6 0.4 0.4 -0.3 -0.4 0.1 -1.2
2015 0.2 1.2 -0.3 -0.9 1.4 1.7 0.5 0.1 0.3 0.4 0.1 0.3 5
2016 -0.1 -0.7 0.2 0.2 0.7 1.1 -0.6 -0.5 0.2 0.1 -1.4 -0.2 -1
2017 0 -0.1 0.4 0.1 -0.2 0.8 0.3 0.2 0.1 -0.6 -0.1 0.7 1.8
2018 -0.3 -0.6 0.2 0.3 -0.2 -0.1 -0.4 0.2 0.1 0.7 0.7 0.2 1
2019 0.6 0 -0.7 0.1 0.4 1.6 0.7 -0.7 -0.1 0.4 1.5 0.1 3.9
2020 0.1 -1.6 -3.9 0.5 0.4 0 0.1 -1.3 0.6 -0.2 0.4 0.1 -5
2021 0.1 1.7 0 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-07-26  15   SPY    85.6  0.019     0.0105  -0.124    -0.203   -0.294   -0.371       NA <NA>     NA    NA       NA
2 2002-07-29  15.3 SPY    89.8  0.0487    0.0921  -0.0972   -0.160   -0.245   -0.339       NA <NA>     NA    NA       NA
3 2002-07-30  15   SPY    90.9  0.013     0.138   -0.081    -0.157   -0.228   -0.325       NA <NA>     NA    NA       NA
4 2002-07-31  15   SPY    91.2  0.00240   0.076   -0.0605   -0.165   -0.235   -0.329       NA <NA>     NA    NA       NA
5 2002-08-01  15.0 SPY    88.8 -0.0261    0.0569  -0.0652   -0.184   -0.262   -0.349       NA <NA>     NA    NA       NA
6 2002-08-02  15.1 SPY    86.8 -0.0224    0.0139  -0.0913   -0.193   -0.282   -0.354       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart